TY  - GEN 
AU  - Aray, Henry
PY  - 2008
UR  - http://hdl.handle.net/10481/31542
AB  - Based on a simple Markov regime switching model, this article presents evidence on the effects of macroeconomic announcements on individual stocks returns. The model specification allows two regimes to be distinguished: one with high volatility and...
LA  - eng
PB  - Universidad de Granada. Departamento de Teoría e Historia Económica
KW  - Markov switching model
KW  - Macroeconomic announcements
KW  - Stock returns
TI  - Effects of macroeconomic announcements on stock returns across volatility regimes
ER  -